Solution to HJB equations with an elliptic integro-differential operator and gradient constraint (Q1670367)
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| Language | Label | Description | Also known as |
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| English | Solution to HJB equations with an elliptic integro-differential operator and gradient constraint |
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Solution to HJB equations with an elliptic integro-differential operator and gradient constraint (English)
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5 September 2018
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This article presents a Hamilton-Jacobi-Bellman (HJB) equation associated with a singular stochastic control problem with a controlled \(d\)-dimensional Lévy process. The operator of the HJB equation is an integro-differential operator. Results concerning the existence and regularity of the corresponding Dirichlet problem are first established. Then, uniform estimates for the solutions lead to the existence, regularity and uniqueness of the HJB equation.
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HJB equation
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NIDD problem
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integro-differential operator
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stochastic control problem
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Lévy process
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